Senior Consultant
CurrentSelected Recent Experience:• Performed a model validation for a top U.S. Bank’s Allowance for Loan and Leasing Losses (ALLL) model. Reviewed complete loss reserve calculation methodology, assessed reasonableness and accuracy of methodology, analyzed incurred loss period, performed sensitivity analysis, benchmarking look-back periods against current approach, performed outcome analysis, and reviewed model governance policies and procedures.• Conducted several model validations for a top 10 U.S. Bank on their Capital Plan Calculators, Credit Card Fee Income model, Auto LGD, Home Equity LGD, and Mortgage LGD forecasting tools in preparation for the next CCAR cycle. The engagement included reviews of input data, theory, methodology, assumptions, and documentation, as well as performing sensitivity analysis, benchmarking analysis, output analysis, technical replications, and ensuring compliance with supervisory guidance and the Bank’s internal policies and procedures.• Conducted DFAST model validations of Moody’s Mortgage Portfolio Analyzer (MPA) model for multiple Banks’ residential mortgage and home equity line of credit (HELOC) portfolios. Performed the following for both the probability of default (PD) and probability of prepayment sub-models: data integrity testing, backtesting and outcome analysis, sensitivity analysis, scenario analysis, backtesting and scenario analysis for and analysis of benchmark model, and review of model methodology documentation.